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econ.EM2019
Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs
Bernd Funovits
This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, t…
econ.EM2019
Identifiability of Structural Singular Vector Autoregressive Models
Bernd Funovits, Alexander Braumann
We generalize well-known results on structural identifiability of vector autoregressive models (VAR) to the case where the innovation covariance matrix has reduced rank. Structural…